reduction.Mittnik
Balance and reduce a model
Description
Balance and reduce the state dimension of a state space model a la Mittnik.
Usage
reduction.Mittnik(model, data=NULL)
Required Arguments
- model
-
An object of class TSmodel or TSestModel.
Optional Arguments
- data
-
If the supplied model is of class TSestModel and data is not supplied
then it is taken from the model. If the model is of class TSmodel
then data must be supplied.
Value
A state space model balance a la Mittnik in an object of class TSestModel.
Details
If a state space model is supplied the max. stae dimension for the result is
taken from the model. If an ARMA model is supplied then singular values
will be printed and the program prompts for the max. state dimension.
See references.
REFERENCES
P.D.Gilbert (1992) State Space and ARMA models: An overview of
estimation and reduction.
(Other reference cited therein)
See Also
Examples
newmodel <-reduction.Mittnik(model)
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